RCHY RUB[Strategy] vs PRIE RUB[Benchmark]

15 Nov, 2023 - 1 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	94.0%	95.0%
Cumulative Return	4.37%	5.94%
CAGR﹪	4.99%	6.78%
Sharpe	0.17	0.27
Prob. Sharpe Ratio	47.34%	32.0%
Smart Sharpe	0.13	0.22
Sortino	0.25	0.42
Smart Sortino	0.2	0.34
Sortino/√2	0.18	0.3
Smart Sortino/√2	0.14	0.24
Omega	1.03	1.03
Max Drawdown	-2.32%	-9.84%
Longest DD Days	56	166
Volatility (ann.)	7.89%	30.9%
R^2	0.02	0.02
Information Ratio	-0.01	-0.01
Calmar	2.15	0.69
Skew	0.57	1.19
Kurtosis	2.52	13.07
Expected Daily	0.03%	0.04%
Expected Monthly	0.36%	0.48%
Expected Yearly	2.16%	2.93%
Kelly Criterion	1.0%	6.17%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.79%	-3.14%
Expected Shortfall (cVaR)	-0.79%	-3.14%
Max Consecutive Wins	7	7
Max Consecutive Losses	6	4
Gain/Pain Ratio	0.21	0.12
Gain/Pain (1M)	1.26	1.44
Payoff Ratio	0.87	1.02
Profit Factor	1.21	1.12
Common Sense Ratio	1.21	0.95
CPC Index	0.57	0.6
Tail Ratio	1.01	0.85
Outlier Win Ratio	13.81	4.42
Outlier Loss Ratio	9.95	3.13
MTD	-0.77%	-0.23%
3M	-0.04%	0.12%
6M	-0.12%	0.83%
YTD	2.03%	2.31%
1Y	4.37%	5.94%
3Y (ann.)	4.99%	6.78%
5Y (ann.)	4.99%	6.78%
10Y (ann.)	4.99%	6.78%
All-time (ann.)	4.99%	6.78%
Best Day	1.83%	11.31%
Worst Day	-1.34%	-8.12%
Best Month	1.95%	2.96%
Worst Month	-1.36%	-5.04%
Best Year	2.29%	3.55%
Worst Year	2.03%	2.31%
Avg. Drawdown	-1.01%	-3.79%
Avg. Drawdown Days	15	29
Recovery Factor	1.88	0.6
Ulcer Index	0.01	0.04
Serenity Index	-1.01	-0.09
Avg. Up Month	1.12%	1.58%
Avg. Down Month	-0.58%	-0.27%
Win Days	53.85%	52.67%
Win Month	58.33%	58.33%
Win Quarter	60.0%	80.0%
Win Year	100.0%	100.0%
Beta	0.03	-
Alpha	0.08	-
Correlation	12.6%	-
Treynor Ratio	-81.62%	-